You can also delete them when you plug your phone into your computer. Just choose the Disk Drive option instead of the Charge Only on your phone when you plug it into the USB drive. This will mount your drive to your computer just like an external hard drive and you will be able to see all the files installed on it. You can then go into the "Music" folder and delete whichever song you don't want.
There are also a lot of 3rd-party solutions for syncing your EVO 4G with iTunes or some other folder (http://www.knowyourcell.com/htc/htc-evo-4g/evo-4g-guides/534438/how_to_set_up_wireless_itunes_sync_with_the_htc_evo_4g.html) (http://www.knowyourcell.com/htc/htc-evo-4g/evo-4g-guides/476999/how_to_sync_the_htc_evo_4g_with_itunes.html)
Hope this helps!